This is very much by design. Chat is designed so that a user can be active in several rooms without having to actually have a browser tab open for every single room. That's why there's the "other rooms you're in" list in the side bar that shows you what's happening elsewhere.
The reason for links that take you somewhere else (i.e. not just to a different room) being opened in a new tab is simply that if we opened it in the same tab, that essentially means you're leaving the chat, which is probably not your intention. But just switching to a different room (whether it's by clicking the "you've been mentioned" thing, or just clicking any of the room links in your sidebar) wouldn't cause this – after going from room A to room B, you can still see what happens in room A.
If you really want to open the room in a different tab, there are of course well-known ways to do that, but for the normal usecase "Hey, something interesting is happening in that other room, let's jump over there" (whether you were mentioned or not), having this open a new tab every time would just be annoying.